Dataset for "Cointegration in expectiles"

This repository contains the datasets used for the empirical analysis in the paper "Cointegration in Expectiles". The first dataset contains U.S. Treasury bill rates for 13-week, 26-week, and 52-week Treasury bills over the period from 30 January 2015 to 31 January 2025, for a total of 2,503 observations. The Bank Discount rate is used throughout. The Bank Discount rate is the rate at which a Treasury bill is quoted in the secondary market and is based on the par value, the amount of the discount, and a 360-day year. The Treasury bill rate data were obtained from the U.S. Department of the Treasury:https://home.treasury.gov/policy-issues/financing-the-government/interest-rate-statistics?data=billrates The second dataset contains Treasury Par Yield Curve Rates for 3 month, 6 month, 1 year and 3 year used in the paper over the period from 31 January 2015 to 31 January 2025, for a total of 5003 observations. Original source:U.S. Department of the Treasury, Daily Treasury Bill Rates:https://home.treasury.gov/resource-center/data-chart-center/interest-rates/TextView?type=daily_treasury_bill_rates The third dataset contains real S&P 500 prices and real dividends obtained from Robert J. Shiller. The sample covers February 2005 to February 2025, for a total of 241 monthly observations. The Shiller data were obtained from:https://shillerdata.com/ The deposited datasets represent the data used in the empirical analysis of the paper and are provided to facilitate replication of the reported results.